The timeless perspective vs. discretion: Theory and monetary policy implications for an open economy

Compared to the standard Phillips curve, an open-economy version that features a real exchange rate channel leads to a markedly different target rule in a New Keynesian optimizing framework. Under optimal policy from a timeless perspective (TP) the target rule involves additional history dependence in the form of lagged inflation. The target rule also depends on more parameters, notably the discount factor as well as two IS and two Phillips curve parameters. Stabilization policy in this open economy model is no longer isomorphic to policy in a closed economy. Because of the additional history dependence in an open economy target rule, price level targeting is no longer consistent with optimal policy. The gains from commitment are smaller in economies where the real exchange rate channel exerts a direct effect on inflation in the Phillips curve.     

经常账户冲击、资本账户管理与中央银行货币政策操作

经常账户负向冲击及引发的宏观变量联动性通常对各经济体央行货币政策操作构成挑战。本文构建了融入经常账户冲击的小型开放经济DSGE模型,比较了采取不同资本账户管理工具(数量型和价格型)情景下,央行执行数量型货币政策规则、盯住CPI通胀泰勒规则、盯住PPI通胀泰勒规则下,经常账户负向冲击对货币政策操作的异质性影响及传导机制,并进行了福利分析。主要结论如下:第一,经常账户负向冲击将对本国央行货币政策操作构成一定影响;第二,资本账户管理可以成为缓冲经常账户负向冲击的防火墙,价格型资本账户管理工具与盯住PPI通胀泰勒规则相结合造成的福利损失较小;第三,经常账户贸易端与收益端双重负向冲击对一国货币政策操作的影响更大,但公众预期到的经常账户恶化对货币政策操作的影响将有所减弱。本文认为,转型经济体央行应倾向于执行价格型货币政策规则,最优货币政策应在稳定价格水平与缓释风险方面进行权衡,适度降低对名义汇率的关注度,稳慎推进资本账户开放进程,并可优先选择价格型资本账户管理工具。     

数量规则还是利率规则？——我国转型时期量价混合型货币规则的理论基础

本文对我国货币政策转型时期兼顾数量和价格的货币政策调控实践进行了深入的分析。在货币数量论和货币效用模型的基础上,从理论上阐明了货币数量规则与利率价格规则的等价关系,并构建了符合中国货币政策实践的数量与价格混合型货币政策规则。这对于更好地理解我国货币政策转型时期的量价混合型货币政策操作具有重要的理论和现实意义。相关推论表明,正是由于数量和价格混合型货币规则,在利率低于均衡水平的情形下,中国的货币增速并未引发恶性通胀;修正的物价稳定泰勒原理表明,利率调整幅度小于通胀变化仍能够实现物价稳定。对中国的经验分析支持了理论和推论结果。在利率市场化基本完成和流动性格局逆转的当下,货币政策价格调控方式转型的必要性和迫切性日益上升,转型的条件日趋成熟。     

数量规则还是利率规则？——我国转型时期量价混合型货币规则的理论基础

本文对我国货币政策转型时期兼顾数量和价格的货币政策调控实践进行了深入的分析。在货币数量论和货币效用模型的基础上,从理论上阐明了货币数量规则与利率价格规则的等价关系,并构建了符合中国货币政策实践的数量与价格混合型货币政策规则。这对于更好地理解我国货币政策转型时期的量价混合型货币政策操作具有重要的理论和现实意义。相关推论表明,正是由于数量和价格混合型货币规则,在利率低于均衡水平的情形下,中国的货币增速并未引发恶性通胀;修正的物价稳定泰勒原理表明,利率调整幅度小于通胀变化仍能够实现物价稳定。对中国的经验分析支持了理论和推论结果。在利率市场化基本完成和流动性格局逆转的当下,货币政策价格调控方式转型的必要性和迫切性日益上升,转型的条件日趋成熟。     

Self-oriented monetary policy,global financial markets and excess volatility of international capital flows

This paper explores the nature of macroeconomic spillovers from advanced economies to emerging market economies (EMEs) and the consequences for independent use of monetary policy in EMEs. We first empirically document that a US contractionary monetary policy shock leads a retrenchment in EME capital flows, a fall in EME GDP, and an exchange rate depreciation. We construct a theoretical model that can help to account for these findings. In the model, macroeconomic spillovers may be exacerbated by financial frictions. Absent financial frictions, international spillovers are minor, and an inflation targeting rule represents an effective policy for the EME. With frictions in financial intermediation, however, spillovers are substantially magnified, and an inflation targeting rule has little advantage over an exchange rate peg. However, an optimal monetary policy markedly improves on the performance of naive inflation targeting or an exchange rate peg. Furthermore, optimal policies don't need to be coordinated across countries. A non-cooperative, self-oriented optimal policy gives results very similar to those of a global cooperative optimal policy.     

Inflation and Welfare: A Search Approach

This paper uses a search model of monetary exchange to provide new insights for evaluating the welfare costs of inflation. We first show that the search model of money can rationalize the estimates of the welfare cost of inflation based on the "welfare triangle" methodology of Bailey (1956) and Lucas (2000) provided that buyers appropriate the social marginal benefit of their real balances. For other mechanisms, the measure given by the welfare triangle has to be scaled up by a factor that increases with sellers' market power. We introduce capital and endogenous participation decisions and study how the cost of inflation is affected. We provide calibrated examples in which a deviation from the Friedman rule is optimal.     

Inflation targeting: What inflation rate to target?

In an economy with nominal rigidities in both an intermediate good sector and a finished good sector, and thus with a natural distinction between CPI and PPI inflation rates, a benevolent central bank faces a tradeoff between stabilizing the two measures of inflation, a final output gap and, unique to our model, a real marginal cost gap in the intermediate sector, so that optimal monetary policy is second-best. We discuss how to implement the optimal policy with minimal information requirement and evaluate the robustness of these simple rules when the central bank may not know the exact sources of shocks or nominal rigidities. A main finding is that a simple hybrid rule under which the short-term interest rate responds to CPI inflation and PPI inflation results in a welfare level close to the optimum, whereas policy rules that ignore PPI inflation or PPI sector shocks can result in significant welfare losses.     

Optimal fiscal and monetary policy in an economy without capital

This paper is concerned with the structure and time-consistency of optimal fiscal and monetary policy in an economy without capital. In a dynamic context, optimal taxation means distributing tax distortions over time in a welfare-maximizing way. For a barter economy, our main finding is that with debt commitments of sufficiently rich maturity structure, an optimal policy, if one exists, is time-consistent. In a monetary economy, the idea of optimal taxation must be broadened to include an ‘inflation tax’, and we find that time-consistency does not carry over. An optimal ‘inflation tax’ requires commitment by ‘rules’ in a sense that has no counterpart in the dynamic theory of ordinary excise taxes. The reason time-consistency fails in a monetary economy is that nominal assets should, from a welfare-maximizing point of view, always be taxed away via an immediate inflation in a kind of ‘capital levy’. This emerges as a new possibility when money is introduced into an economy without capital.     

美国货币政策溢出效应、中国资产价格波动与资本账户管理

本文以2016年美国加息事件为背景,研究美国货币政策对中国资本流动、资产价格和宏观经济的影响。基于小国开放动态随机一般均衡模型,本文梳理了美国货币政策溢出效应的具体传导渠道,发现国外利率升高后,资本流动具有外部性,导致国内资产价格下跌,其通过金融加速器进一步使国内投资下降、资产价格进一步下跌,从而使得国内资产预期回报进一步下降,加剧资本外流。基于政策和福利分析,本文发现资本账户管理可以有效缓解国外利率冲击对经济波动的影响,同时会提高货币政策的独立性,但也会影响国民财富的最优配置。因此,最优的资本账户管理应同时兼顾宏观审慎和效率两个方面。     

Optimal inflation persistence: Ramsey taxation with capital and habits

Ramsey models of fiscal and monetary policy featuring time-separable preferences and a fixed supply of capital predict highly volatile inflation with no serial correlation. In this paper, we show that an otherwise-standard Ramsey model that incorporates capital accumulation and habit persistence predicts highly persistent inflation. The result depends on increases in either the ability to smooth consumption or the preference for doing so. The effect operates through the Fisher relationship: a smoother profile of consumption implies a more persistent real interest rate, which in turn implies persistent optimal inflation. Our work complements a recent strand of the Ramsey literature based on models with nominal rigidities. In these latter models, inflation volatility is lower than in the baseline model but continues to exhibit little persistence. We quantify the effects of habit and capital on inflation persistence and also relate our findings to recent work on optimal fiscal policy with incomplete markets.     

Optimal monetary policy in a small open economy with staggered wage and price contracts

We study optimal monetary policy for a small open economy in a model where both domestic prices and wages are sticky due to staggered contracts. The simultaneous presence of the two forms of nominal rigidities introduces an additional trade-off between domestic inflation and the output gap. We derive a second-order approximation to the average welfare losses that can be expressed in terms of the unconditional variances of the output gap, domestic price inflation, and wage inflation. As a consequence, the optimal policy seeks to minimize a weighted average of these variances. We analyze welfare implications of several alternative simple policy rules, and find that domestic price inflation targeting generates relatively large welfare losses, whereas CPI inflation targeting performs nearly as well as the optimal rule.     

Monetary Policy and Banking Structure

In this paper, I examine the differences in optimal monetary policy in various banking systems. In particular, I compare two monetary economies: one with a competitive banking system and the other with a monopolistic one. In addition, the optimality of the discount window policy is considered. It is shown that the Friedman rule is the optimal monetary policy in a monopolistic banking economy, and the zero‐inflation policy is optimal in a competitive banking economy under appropriate parameters. In addition, the combination of the Friedman rule and the discount window policy can achieve efficient allocation in both banking systems.     

Monetary policy in emerging markets: Can liability dollarization explain contractionary devaluations?

In emerging markets, external debt is denominated almost entirely in large, developed country currencies such as the U.S. dollar. This liability dollarization offers a channel through which exchange rate variation can lead to business cycle instability. When firms' assets are denominated in domestic currency and liabilities are denominated in foreign currency, an exchange rate depreciation worsens firms' balance sheets, which leads to higher capital costs and contractions in capital spending. To illustrate this, I construct a quantitative, sticky price, small open economy model in which a monetary policy induced devaluation leads to a persistent contraction in output. In this model, fixed exchange rates offer greater stability than an interest rule that targets inflation.     

Monetary Policy Rules in an Open Economy with Heuristics: Which Model Is Best?

The choices of policy targets and the formation of agents’ expectation have been critical issues for reconsidering monetary policy management since 2008. The purpose of this article is to evaluate macroeconomic stability in a New Keynesian open economy in which agents experience cognitive limitations. The (im)perfect credibility of various monetary policies (e.g., a Taylor-type rule, strict domestic inflation targeting, strict CPI inflation targeting, exchange rate peg) may lead agents to react according to their expectation rules, and then create various degrees of booms and busts in output and inflation. Therefore, relaxation of the rational expectation hypothesis has potential consequences for policy designs. Our simulations confirm that the business cycles induced by animal spirits are enhanced by strict inflation targeting. Furthermore, a Taylor-type (CPI or domestic inflation) rule or a credible exchange rate pegging system can improve social welfare and stability in an open economy.     

Implications of habit formation for optimal monetary policy

We study the implications for optimal monetary policy of introducing habit formation in consumption into a general equilibrium model with sticky prices. Habit formation affects the model's endogenous dynamics through its effects on both aggregate demand and households’ supply of output. We show that the objective of monetary policy consistent with welfare maximization includes output stabilization, as well as inflation and output gap stabilization. We find that the variance of output increases under optimal policy, even though it acquires a higher implicit weight in the welfare function. We also find that a simple interest rate rule nearly achieves the welfare-optimal allocation, regardless of the degree of habit formation. In this rule, the optimal responses to inflation and the lagged interest rate are both declining in the size of the habit, although super-inertial policies remain optimal.     

Monetary Policy Response to Oil Price Shocks

How should monetary authorities react to an oil price shock? This paper shows that in a noncompetitive economy, policies that perfectly stabilize prices entail large welfare costs, hence explaining the reluctance of policymakers to enforce them. The policy trade‐off is nontrivial because oil (energy) is an input to both production and consumption. As welfare‐maximizing policies are hard to implement and communicate, I derive a simple interest rate rule that depends only on observables but mimics the optimal plan in all dimensions. The optimal rule is hard on core inflation but accommodates oil price changes.     

风险资产配置与货币政策规则——黏性价格均衡下的宏观资产配置模型初探

本文将一个基于动态新凯恩斯理论的连续时间黏性价格一般均衡模型与随机动态资产配置模型相结合,进而研究基于内生宏观经济动态和货币政策规则进行资产配置的问题。在最优配置策略下,投资者相对风险偏好随无风险名义利率的增大而单调减小,而随通胀率的变化呈“U”型,说明投资者在通胀偏离稳态幅度较大时配置风险资产的相对意愿较高。此外,本文也给出了使用该模型讨论投资者最大化跨期效用对经济反作用这一宏观审慎问题的方式。     

Inflation and Welfare in Retail Markets: Prior Production and Imperfectly Directed Search

This paper considers the effect of monetary policy and inflation on retail markets: goods are dated and produced prior to being retailed; buyers direct their search on price and general quality; buyers’ match‐specific tastes are private information. Sellers set the same price for all buyers, some of whom do not value the good highly enough to buy it. The market economy is typically inefficient as a social planner would have the good consumed. Under free entry of sellers, the Friedman rule is optimal policy. When the upper bound on the number of participating sellers binds, moderate levels of inflation can be welfare improving.     

通货膨胀对资本结构的影响：理论模型与实证检验

利率管制下具有股权融资偏好的企业融资模型表明,通货膨胀会增大公司的债务融资比重,并且利率管制带来的利率刚性和公司税率都会放大通货膨胀的这种作用。同时,以中国30家上市公司25个季度的财务面板数据为基础进行的实证研究发现,通货膨胀对中国上市公司的债务—权益比率具有非常显著的正向作用,货币对于公司的资本结构是非中性的。另外固定资产比率非常显著的正向作用于债务—权益比率。     

Learning about the Term Structure and Optimal Rules for Inflation Targeting

In this paper, we incorporate the term structure of interest rates in the New Keynesian model and analyze optimal policy under uncertainty about private sector expectations and the degree of inflation persistence. The novel result of our paper is that for large deviations of inflation from its target, the active learning policy is less activist—in the sense of responding less aggressively to the state of the economy—than a myopic policy, which ignores the learning channel. Moreover, for most initial beliefs, the incentive for active learning increases as monetary policy’s leverage over the long‐term interest rate increases.